Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 2 3
Score 0.37 -2.09 -0.71
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.47 0.47 0.48
Idiosyncratic Volatility 1.73 1.62 2.27

Annualized return and volatility

RERGX
Annualized Return 0.0896
Annualized Std Dev 0.1590
Annualized Sharpe (Rf=0%) 0.5637

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Daily Return Statistics

RERGX
Observations 2725.0000
NAs 2389.0000
Minimum -0.0676
Quartile 1 -0.0041
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0055
Maximum 0.0573
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0100
Skewness -0.3528
Kurtosis 4.5081

Downside Risk

RERGX
Semi Deviation 0.0073
Gain Deviation 0.0067
Loss Deviation 0.0078
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0072
Downside Deviation (0%) 0.0072
Maximum Drawdown 0.2615
Historical VaR (95%) -0.0160
Historical ES (95%) -0.0245
Modified VaR (95%) -0.0162
Modified ES (95%) -0.0286
From Trough To Depth Length To Trough Recovery
2011-05-03 2011-10-03 2013-04-29 -0.2615 507 108 399
2018-01-29 2018-12-24 2019-12-17 -0.2379 484 233 251
2015-05-22 2016-02-11 2017-04-24 -0.2253 491 186 305
2010-04-15 2010-05-26 2010-10-01 -0.1678 121 31 90
2010-01-12 2010-02-08 2010-04-14 -0.1168 64 19 45

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec RERGX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA NA NA NA NA
2009 NA NA NA NA 2.6 1.8 0.0 -2.4 -2.5 0.0 2.7 0 2.1
2010 1.6 0.9 1.3 0.0 -1.0 0.4 0.0 2.9 0.7 0.3 2.6 0 10.1
2011 1.9 -0.6 1.1 0.0 -1.4 1.0 -1.0 -0.2 0.0 -2.7 -0.4 0 -2.4
2012 1.7 0.9 0.0 0.0 -2.3 0.0 -0.5 0.0 0.8 1.0 0.0 0 1.5
2013 1.0 0.0 -0.4 -0.6 0.0 0.8 1.5 0.0 0.9 -0.6 0.0 0 2.6
2014 0.0 0.0 0.9 0.3 0.0 0.8 -0.5 0.0 -1.3 0.0 -0.6 0 -0.4
2015 0.0 0.0 0.5 0.5 -0.1 0.6 0.0 -2.8 0.1 0.0 1.0 0 -0.3
2016 0.1 2.4 -0.8 0.0 -0.3 0.3 -0.1 0.4 0.0 -0.5 -0.5 0 1.0
2017 0.5 1.1 0.0 0.2 0.6 0.0 0.4 0.2 0.0 0.5 -0.5 0 3.0
2018 0.0 -0.9 0.0 -0.3 0.8 0.0 -0.3 0.0 -0.1 1.7 0.0 0 0.9
2019 -0.1 0.3 1.3 -0.3 0.0 0.9 -0.3 0.0 -0.8 1.0 0.0 0 1.9

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Rolling Performance Chart

Snail Trail Chart